Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2617 |
| Annualized Std Dev | 0.4463 |
| Annualized Sharpe (Rf=0%) | -0.5865 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3002.0000 |
| NAs | 1.0000 |
| Minimum | -0.2062 |
| Quartile 1 | -0.0171 |
| Median | -0.0021 |
| Arithmetic Mean | -0.0008 |
| Geometric Mean | -0.0012 |
| Quartile 3 | 0.0157 |
| Maximum | 0.2017 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0018 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0008 |
| Stdev | 0.0281 |
| Skewness | -0.0183 |
| Kurtosis | 4.7413 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0197 |
| Gain Deviation | 0.0190 |
| Loss Deviation | 0.0188 |
| Downside Deviation (MAR=210%) | 0.0250 |
| Downside Deviation (Rf=0%) | 0.0202 |
| Downside Deviation (0%) | 0.0202 |
| Maximum Drawdown | 0.9910 |
| Historical VaR (95%) | -0.0426 |
| Historical ES (95%) | -0.0624 |
| Modified VaR (95%) | -0.0445 |
| Modified ES (95%) | -0.0686 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-06-11 | 2020-08-04 | NA | -0.9910 | 2965 | 2807 | NA |
| 2009-05-28 | 2009-05-29 | 2009-06-10 | -0.1394 | 10 | 2 | 8 |
| 2009-05-08 | 2009-05-14 | 2009-05-21 | -0.1152 | 10 | 5 | 5 |
| 2009-04-20 | 2009-04-20 | 2009-04-22 | -0.0534 | 3 | 1 | 2 |
| 2009-04-27 | 2009-04-27 | 2009-04-28 | -0.0203 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | 2.3 | 10 | 1.1 | -6.3 | 0.5 | -4.1 | -4.8 | 4 | 2.2 | 3.9 |
| 2010 | 3 | -0.3 | 1.1 | -3.6 | -2.2 | -0.5 | -4.7 | 6.8 | 1.5 | 1.1 | 6.4 | -3.4 | 4.5 |
| 2011 | 1.5 | -0.9 | -1.4 | -0.8 | -4 | 0.6 | -2.9 | -5.9 | -7.5 | -9.8 | 1.2 | -0.9 | -27.4 |
| 2012 | 3.3 | 2.7 | 4.9 | 1.5 | -7.1 | 3.9 | 1.4 | -3.5 | -1.1 | 1.5 | 0.9 | 5.1 | 13.6 |
| 2013 | 3.8 | -1.7 | -2.2 | -3.2 | 0.9 | -0.6 | 5.7 | 0.2 | 0.7 | 3.2 | -0.4 | 1.7 | 7.7 |
| 2014 | -1.8 | -0.5 | 2.7 | -2.9 | 0.2 | 2.5 | -2.3 | -0.3 | -5.7 | 0.9 | 1.7 | -0.7 | -6.4 |
| 2015 | -5.3 | -2.5 | -4 | 4.2 | 3.2 | 4.2 | -2.4 | -2 | -1.1 | -2.1 | -4 | -1.4 | -12.9 |
| 2016 | 0.8 | 4.8 | -1 | -1 | -1.1 | -4.4 | 3.1 | -0.3 | 2.4 | -0.1 | 3 | -0.8 | 5.1 |
| 2017 | 2 | 5.1 | -1 | 2.6 | 0.1 | 0.7 | -2.1 | 2.3 | -0.8 | -1.2 | -3.9 | -0.3 | 3.2 |
| 2018 | 4.2 | -2.1 | -1.7 | 1.2 | 1.5 | 1 | 2.3 | 0.7 | 2.2 | -0.2 | -1.1 | -1.4 | 6.7 |
| 2019 | 1.8 | 2.8 | 4.4 | -1.1 | -3.8 | 0.6 | -5.9 | -0.1 | -1 | 1.2 | 0.6 | 2.6 | 1.5 |
| 2020 | -2.6 | -7 | -4.7 | -2.4 | 2 | 0.6 | 0.2 | -3.5 | -1.1 | 3 | 4.7 | -0.5 | -11.3 |
| 2021 | -0.3 | 4.1 | -1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-04-16 3095 SPY 86.5 0.0147 0.0481 0.106 0.0252 -0.368 -0.328 -0.237 GLD 85.8 -0.0193 -0.0092
2 2009-04-17 3212. SPY 87.1 0.0067 0.0148 0.0895 0.0318 -0.365 -0.323 -0.229 GLD 85.2 -0.0069 -0.0126
3 2009-04-20 3040 SPY 83.4 -0.0419 -0.028 0.0569 -0.0192 -0.398 -0.362 -0.267 GLD 87.0 0.0203 -0.0106
4 2009-04-21 3124 SPY 85.1 0.0195 0.0084 0.109 0.0557 -0.386 -0.350 -0.253 GLD 86.9 -0.0007 -0.0055
5 2009-04-22 3230. SPY 84.5 -0.0061 -0.0083 0.0282 0.00580 -0.387 -0.355 -0.245 GLD 87.4 0.0056 -0.0014
6 2009-04-23 3208. SPY 85.4 0.0098 -0.0131 0.0592 0.0317 -0.380 -0.349 -0.242 GLD 88.8 0.0163 0.0348
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
